THE DISTRIBUTIONAL BEHAVIOR OF FUTURES PRICE SPREADS

MinKyoung Kim and Raymond M. Leuthold

Journal of Agricultural and Applied Economics, 2000, vol. 32, issue 01, 15

Abstract: The distributional behavior of futures price spreads is examined for four commodities: corn, live cattle, gold and T-bonds. Remarkably different results are found over commodities, time period, and sample size. Actual spread changes for the smaller sample size of gold and T-bonds and for corn produce more normal distributions for weekly than for daily differencing intervals, while all live cattle spreads for actual changes are normally distributed. However, the larger sample size of both gold and T-bonds and the relative spread changes for corn and live cattle do not become more normally distributed under temporal aggregation of the data.

Keywords: Marketing (search for similar items in EconPapers)
Date: 2000
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Persistent link: https://EconPapers.repec.org/RePEc:ags:joaaec:15399

DOI: 10.22004/ag.econ.15399

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